Pitarakis, Jean-Yves - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 1, pp. 1256-1256
Inferences about the presence or absence of threshold type nonlinearities in TAR models are conducted within models whose lag length has been estimated in a preliminary stage. Typically the null hypothesis of linearity is then tested against a threshold alternative on which the estimated lag...
